I don't think it's worth taking Banshees, as their shriek drains a certain amount of health, depending on the number of Banshees, within three squares.
But it's very weak! And Death Knights always drain at least one creature! In my opinion, they are better.

This ability isn't that important at the beginning, but as soon as you have a lot of Banshees, it becomes a big plus. Imagine 40 Death Knights surrounded by strong enemies, and you don't want to lose them, so you attack and use the ability to drain 1 unit, and then they attack, and you might lose N units. But if you have Banshees and use the ability, all enemies will take damage as if they were hit by ~20 Banshees each. Now I choose Banshees because of this ability, and let's not forget that all new creatures have higher damage, cunning, defense, or initiative than the old ones. I'm more worried about the undead limit (dark energy); that's what really weakened the undead...
I also advise replacing zombies with new ones; there's more benefit from them.